It really doesn’t. An entity can be something as small as a 2D effect somewhere in the world (orb effect, for example). One single hero requires more performance.
The effect entities we can spawn with Workshop definitely seem comparatively cheap as entities go. As I understand it, spawning entities in general is still one of the few ‘weak spots’ (big air quotes here) in the OW engine because unlike most kinds of work, entity creation isn’t deferred until later in the frame, which in the OW design causes loss of cache locality benefits, which causes a temporary performance hit.
There’s a GDC talk from 2017 presented by Timothy Ford which is fantastic for a lot of reasons, and talks about this aspect of their rendering logic in a couple spots I’ve linked below, mostly in the context of “impact effects”, but also entity spawning in general. I’m not sure if Workshop effects count as ‘impact effects’ as described in the video, but they definitely count as entities.
first part, during the 'prepared remarks’
later in the video, in the Q&A (erm… slightly NSFW I guess)